Стратегия IBS RSI CCI v4

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

using StockSharp.Algo;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Conversion of the Exp_IBS_RSI_CCI_v4 MetaTrader strategy to StockSharp.
/// Combines internal bar strength, RSI, and CCI into a smoothed oscillator for contrarian entries.
/// </summary>
public class IbsRsiCciV4Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _ibsPeriod;
	private readonly StrategyParam<MovingAverageKinds> _ibsAverageType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<int> _rangePeriod;
	private readonly StrategyParam<int> _smoothPeriod;
	private readonly StrategyParam<MovingAverageKinds> _rangeAverageType;
	private readonly StrategyParam<decimal> _stepThreshold;
	private readonly StrategyParam<int> _signalBar;
	private readonly StrategyParam<bool> _enableLongOpen;
	private readonly StrategyParam<bool> _enableShortOpen;
	private readonly StrategyParam<bool> _enableLongClose;
	private readonly StrategyParam<bool> _enableShortClose;
	private readonly StrategyParam<decimal> _volume;
	private readonly StrategyParam<decimal> _cciWeight;

	private RelativeStrengthIndex _rsi = null!;
	private CommodityChannelIndex _cci = null!;
	private IIndicator _ibsAverage = null!;

	private bool _hasSignal;
	private decimal _lastSignal;
	private readonly List<decimal> _signalHistory = [];
	private readonly List<decimal> _baselineHistory = [];

	private readonly StrategyParam<decimal> _ibsWeight;
	private readonly StrategyParam<decimal> _rsiWeight;

	/// <summary>
	/// Initializes a new instance of the <see cref="IbsRsiCciV4Strategy"/> class.
	/// </summary>
	public IbsRsiCciV4Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
		.SetDisplay("Candle Type", "Timeframe used for calculations", "General")
		;

		_ibsPeriod = Param(nameof(IbsPeriod), 5)
		.SetDisplay("IBS Period", "Smoothing period for the internal bar strength component", "Indicator")
		;

		_ibsAverageType = Param(nameof(IbsAverageType), MovingAverageKinds.Simple)
		.SetDisplay("IBS MA Type", "Moving average type applied to the IBS series", "Indicator")
		;

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
		.SetDisplay("RSI Period", "Lookback period for the RSI filter", "Indicator")
		;

		_cciPeriod = Param(nameof(CciPeriod), 14)
		.SetDisplay("CCI Period", "Lookback period for the CCI filter", "Indicator")
		;

		_rangePeriod = Param(nameof(RangePeriod), 25)
		.SetDisplay("Range Period", "Window size for highest/lowest range calculation", "Indicator")
		;

		_smoothPeriod = Param(nameof(SmoothPeriod), 3)
		.SetDisplay("Range Smooth", "Smoothing period for the range bands", "Indicator")
		;

		_rangeAverageType = Param(nameof(RangeAverageType), MovingAverageKinds.Simple)
		.SetDisplay("Range MA Type", "Moving average type applied to the range envelopes", "Indicator")
		;

		_stepThreshold = Param(nameof(StepThreshold), 50m)
		.SetDisplay("Step Threshold", "Maximum adjustment applied when the composite signal jumps", "Trading")
		;
		_cciWeight = Param(nameof(CciWeight), 1m)
		.SetDisplay("CCI Weight", "Weight applied to the CCI component within the composite signal", "Indicator")
		;

		_ibsWeight = Param(nameof(IbsWeight), 700m)
		.SetDisplay("IBS Weight", "Weight applied to IBS component", "Trading");

		_rsiWeight = Param(nameof(RsiWeight), 9m)
		.SetDisplay("RSI Weight", "Weight applied to RSI component", "Trading");

		_signalBar = Param(nameof(SignalBar), 1)
		.SetDisplay("Signal Bar", "Number of closed candles used for confirmation", "Trading")
		;

		_enableLongOpen = Param(nameof(EnableLongOpen), true)
		.SetDisplay("Enable Long Entries", "Allow opening long positions", "Trading");

		_enableShortOpen = Param(nameof(EnableShortOpen), true)
		.SetDisplay("Enable Short Entries", "Allow opening short positions", "Trading");

		_enableLongClose = Param(nameof(EnableLongClose), true)
		.SetDisplay("Enable Long Exits", "Allow closing existing long positions", "Trading");

		_enableShortClose = Param(nameof(EnableShortClose), true)
		.SetDisplay("Enable Short Exits", "Allow closing existing short positions", "Trading");

		_volume = Param(nameof(OrderVolume), 1m)
		.SetDisplay("Order Volume", "Base volume used for market orders", "Trading")
		;
	}

	/// <summary>
	/// Candle type used to feed the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Period for smoothing the IBS component.
	/// </summary>
	public int IbsPeriod
	{
		get => _ibsPeriod.Value;
		set => _ibsPeriod.Value = value;
	}

	/// <summary>
	/// Moving average type applied to the IBS series.
	/// </summary>
	public MovingAverageKinds IbsAverageType
	{
		get => _ibsAverageType.Value;
		set => _ibsAverageType.Value = value;
	}

	/// <summary>
	/// RSI lookback period.
	/// </summary>
	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	/// <summary>
	/// CCI lookback period.
	/// </summary>
	public int CciPeriod
	{
		get => _cciPeriod.Value;
		set => _cciPeriod.Value = value;
	}

	/// <summary>
	/// Window used to search for highs and lows of the composite signal.
	/// </summary>
	public int RangePeriod
	{
		get => _rangePeriod.Value;
		set => _rangePeriod.Value = value;
	}

	/// <summary>
	/// Smoothing period for the signal envelopes.
	/// </summary>
	public int SmoothPeriod
	{
		get => _smoothPeriod.Value;
		set => _smoothPeriod.Value = value;
	}

	/// <summary>
	/// Moving average type used for the envelope smoothing.
	/// </summary>
	public MovingAverageKinds RangeAverageType
	{
		get => _rangeAverageType.Value;
		set => _rangeAverageType.Value = value;
	}

	/// <summary>
	/// Maximum step applied when the composite signal changes sharply.
	/// </summary>
	public decimal StepThreshold
	{
		get => _stepThreshold.Value;
		set => _stepThreshold.Value = value;
	}

	/// <summary>
	/// Weight applied to the IBS component.
	/// </summary>
	public decimal IbsWeight
	{
		get => _ibsWeight.Value;
		set => _ibsWeight.Value = value;
	}

	/// <summary>
	/// Weight applied to the RSI component.
	/// </summary>
	public decimal RsiWeight
	{
		get => _rsiWeight.Value;
		set => _rsiWeight.Value = value;
  }
  
	/// <summary>
	/// Weight applied to the CCI component within the composite oscillator.
	/// </summary>
	public decimal CciWeight
	{
		get => _cciWeight.Value;
		set => _cciWeight.Value = value;
	}

	/// <summary>
	/// Number of closed candles used for confirmation logic.
	/// </summary>
	public int SignalBar
	{
		get => _signalBar.Value;
		set => _signalBar.Value = value;
	}

	/// <summary>
	/// Enables long entries when <c>true</c>.
	/// </summary>
	public bool EnableLongOpen
	{
		get => _enableLongOpen.Value;
		set => _enableLongOpen.Value = value;
	}

	/// <summary>
	/// Enables short entries when <c>true</c>.
	/// </summary>
	public bool EnableShortOpen
	{
		get => _enableShortOpen.Value;
		set => _enableShortOpen.Value = value;
	}

	/// <summary>
	/// Enables long exits when <c>true</c>.
	/// </summary>
	public bool EnableLongClose
	{
		get => _enableLongClose.Value;
		set => _enableLongClose.Value = value;
	}

	/// <summary>
	/// Enables short exits when <c>true</c>.
	/// </summary>
	public bool EnableShortClose
	{
		get => _enableShortClose.Value;
		set => _enableShortClose.Value = value;
	}

	/// <summary>
	/// Volume used for new market orders.
	/// </summary>
	public decimal OrderVolume
	{
		get => _volume.Value;
		set => _volume.Value = value;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_hasSignal = false;
		_lastSignal = 0m;
		_signalHistory.Clear();
		_baselineHistory.Clear();
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		Volume = OrderVolume;

		_rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		_cci = new CommodityChannelIndex { Length = CciPeriod };
		_ibsAverage = CreateMovingAverage(IbsAverageType, Math.Max(1, IbsPeriod));
		var subscription = SubscribeCandles(CandleType);
		subscription
		.Bind(_rsi, _cci, ProcessCandle)
		.Start();

		// removed StartProtection(null, null)

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal rsiValue, decimal cciValue)
	{
		if (candle.State != CandleStates.Finished)
		return;

		// removed IFOAAT

		if (!_rsi.IsFormed || !_cci.IsFormed)
		return;

		var range = candle.HighPrice - candle.LowPrice;
		if (range == 0m)
		{
			var step = Security?.PriceStep ?? 0.0001m;
			if (step == 0m)
			step = 0.0001m;
			range = step;
		}

		var ibsRaw = (candle.ClosePrice - candle.LowPrice) / range;
		var ibsValue = _ibsAverage.Process(new DecimalIndicatorValue(_ibsAverage, ibsRaw, candle.OpenTime) { IsFinal = true });
		if (ibsValue is not DecimalIndicatorValue { IsFinal: true, Value: var ibsSmoothed })
		return;

		var compositeTarget = ((ibsSmoothed - 0.5m) * IbsWeight + cciValue * CciWeight + (rsiValue - 50m) * RsiWeight) / 3m;
		var adjustedSignal = ApplyStepConstraint(compositeTarget);

		_signalHistory.Add(adjustedSignal);
		var maxSignalHistory = Math.Max(2, Math.Max(RangePeriod, SignalBar + 2) + Math.Max(1, SmoothPeriod));
		if (_signalHistory.Count > maxSignalHistory)
			_signalHistory.RemoveAt(0);

		if (_signalHistory.Count < Math.Max(1, RangePeriod))
			return;

		var highest = decimal.MinValue;
		var lowest = decimal.MaxValue;
		var startIndex = Math.Max(0, _signalHistory.Count - RangePeriod);

		for (var i = startIndex; i < _signalHistory.Count; i++)
		{
			var value = _signalHistory[i];
			if (value > highest)
				highest = value;
			if (value < lowest)
				lowest = value;
		}

		var baseline = (highest + lowest) / 2m;

		UpdateHistory(baseline);

		var historyLength = Math.Min(_signalHistory.Count, _baselineHistory.Count);
		if (historyLength <= SignalBar)
		return;

		var previousIndex = historyLength - 1 - Math.Max(0, SignalBar);
		var previousSignal = _signalHistory[previousIndex];
		var previousBaseline = _baselineHistory[previousIndex];
		var currentSignal = _signalHistory[historyLength - 1];
		var currentBaseline = _baselineHistory[historyLength - 1];

		var position = Position;

		if (position > 0 && EnableLongClose && previousSignal < previousBaseline)
		{
			SellMarket();
			position = 0m;
		}
		else if (position < 0 && EnableShortClose && previousSignal > previousBaseline)
		{
			BuyMarket();
			position = 0m;
		}

		if (EnableLongOpen && position <= 0m && previousSignal > previousBaseline && currentSignal <= currentBaseline)
		{
			BuyMarket();
		}
		else if (EnableShortOpen && position >= 0m && previousSignal < previousBaseline && currentSignal >= currentBaseline)
		{
			SellMarket();
		}
	}

	private decimal ApplyStepConstraint(decimal target)
	{
		if (!_hasSignal)
		{
			_lastSignal = target;
			_hasSignal = true;
			return _lastSignal;
		}

		var threshold = Math.Abs(StepThreshold);
		if (threshold <= 0m)
		{
			_lastSignal = target;
			return _lastSignal;
		}

		var diff = target - _lastSignal;
		if (Math.Abs(diff) > threshold)
		{
			var direction = diff > 0m ? 1m : -1m;
			_lastSignal = target - direction * threshold;
		}
		else
		{
			_lastSignal = target;
		}

		return _lastSignal;
	}

	private void UpdateHistory(decimal baseline)
	{
		var maxSize = Math.Max(2, Math.Max(RangePeriod, SignalBar + 2) + Math.Max(1, SmoothPeriod));
		_baselineHistory.Add(baseline);
		if (_baselineHistory.Count > maxSize)
			_baselineHistory.RemoveAt(0);
	}

	private static IIndicator CreateMovingAverage(MovingAverageKinds kind, int length)
	{
		return kind switch
		{
			MovingAverageKinds.Exponential => new EMA { Length = length },
			MovingAverageKinds.Smoothed => new SmoothedMovingAverage { Length = length },
			MovingAverageKinds.LinearWeighted => new WeightedMovingAverage { Length = length },
			_ => new SMA { Length = length },
		};
	}

	/// <summary>
	/// Supported moving average families.
	/// </summary>
	public enum MovingAverageKinds
	{
		/// <summary>
		/// Simple moving average.
		/// </summary>
		Simple,

		/// <summary>
		/// Exponential moving average.
		/// </summary>
		Exponential,

		/// <summary>
		/// Smoothed moving average.
		/// </summary>
		Smoothed,

		/// <summary>
		/// Linear weighted moving average.
		/// </summary>
		LinearWeighted
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan, Math, Decimal
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import RelativeStrengthIndex, CommodityChannelIndex, SimpleMovingAverage
from StockSharp.Algo.Strategies import Strategy
from indicator_extensions import *

class ibs_rsi_cci_v4_strategy(Strategy):
    def __init__(self):
        super(ibs_rsi_cci_v4_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4)))
        self._ibs_period = self.Param("IbsPeriod", 5)
        self._rsi_period = self.Param("RsiPeriod", 14)
        self._cci_period = self.Param("CciPeriod", 14)
        self._range_period = self.Param("RangePeriod", 25)
        self._smooth_period = self.Param("SmoothPeriod", 3)
        self._step_threshold = self.Param("StepThreshold", 50.0)
        self._ibs_weight = self.Param("IbsWeight", 700.0)
        self._rsi_weight = self.Param("RsiWeight", 9.0)
        self._cci_weight = self.Param("CciWeight", 1.0)
        self._signal_bar = self.Param("SignalBar", 1)
        self._enable_long_open = self.Param("EnableLongOpen", True)
        self._enable_short_open = self.Param("EnableShortOpen", True)
        self._enable_long_close = self.Param("EnableLongClose", True)
        self._enable_short_close = self.Param("EnableShortClose", True)
        self._order_volume = self.Param("OrderVolume", 1.0)

        self._has_signal = False
        self._last_signal = 0.0
        self._signal_history = []
        self._baseline_history = []

    @property
    def CandleType(self):
        return self._candle_type.Value

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

    @property
    def IbsPeriod(self):
        return self._ibs_period.Value

    @IbsPeriod.setter
    def IbsPeriod(self, value):
        self._ibs_period.Value = value

    @property
    def RsiPeriod(self):
        return self._rsi_period.Value

    @RsiPeriod.setter
    def RsiPeriod(self, value):
        self._rsi_period.Value = value

    @property
    def CciPeriod(self):
        return self._cci_period.Value

    @CciPeriod.setter
    def CciPeriod(self, value):
        self._cci_period.Value = value

    @property
    def RangePeriod(self):
        return self._range_period.Value

    @RangePeriod.setter
    def RangePeriod(self, value):
        self._range_period.Value = value

    @property
    def SmoothPeriod(self):
        return self._smooth_period.Value

    @SmoothPeriod.setter
    def SmoothPeriod(self, value):
        self._smooth_period.Value = value

    @property
    def StepThreshold(self):
        return self._step_threshold.Value

    @StepThreshold.setter
    def StepThreshold(self, value):
        self._step_threshold.Value = value

    @property
    def IbsWeight(self):
        return self._ibs_weight.Value

    @IbsWeight.setter
    def IbsWeight(self, value):
        self._ibs_weight.Value = value

    @property
    def RsiWeight(self):
        return self._rsi_weight.Value

    @RsiWeight.setter
    def RsiWeight(self, value):
        self._rsi_weight.Value = value

    @property
    def CciWeight(self):
        return self._cci_weight.Value

    @CciWeight.setter
    def CciWeight(self, value):
        self._cci_weight.Value = value

    @property
    def SignalBar(self):
        return self._signal_bar.Value

    @SignalBar.setter
    def SignalBar(self, value):
        self._signal_bar.Value = value

    @property
    def EnableLongOpen(self):
        return self._enable_long_open.Value

    @EnableLongOpen.setter
    def EnableLongOpen(self, value):
        self._enable_long_open.Value = value

    @property
    def EnableShortOpen(self):
        return self._enable_short_open.Value

    @EnableShortOpen.setter
    def EnableShortOpen(self, value):
        self._enable_short_open.Value = value

    @property
    def EnableLongClose(self):
        return self._enable_long_close.Value

    @EnableLongClose.setter
    def EnableLongClose(self, value):
        self._enable_long_close.Value = value

    @property
    def EnableShortClose(self):
        return self._enable_short_close.Value

    @EnableShortClose.setter
    def EnableShortClose(self, value):
        self._enable_short_close.Value = value

    @property
    def OrderVolume(self):
        return self._order_volume.Value

    @OrderVolume.setter
    def OrderVolume(self, value):
        self._order_volume.Value = value

    def OnStarted2(self, time):
        super(ibs_rsi_cci_v4_strategy, self).OnStarted2(time)

        self.Volume = float(self.OrderVolume)
        self._has_signal = False
        self._last_signal = 0.0
        self._signal_history = []
        self._baseline_history = []

        self._rsi = RelativeStrengthIndex()
        self._rsi.Length = self.RsiPeriod
        self._cci = CommodityChannelIndex()
        self._cci.Length = self.CciPeriod
        self._ibs_avg = SimpleMovingAverage()
        self._ibs_avg.Length = max(1, int(self.IbsPeriod))

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._rsi, self._cci, self.ProcessCandle).Start()

    def ProcessCandle(self, candle, rsi_value, cci_value):
        if candle.State != CandleStates.Finished:
            return

        rsi_val = float(rsi_value)
        cci_val = float(cci_value)

        if not self._rsi.IsFormed or not self._cci.IsFormed:
            return

        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        close = float(candle.ClosePrice)

        candle_range = high - low
        if candle_range == 0.0:
            step = 0.0001
            if self.Security is not None and self.Security.PriceStep is not None:
                step = float(self.Security.PriceStep)
            if step == 0.0:
                step = 0.0001
            candle_range = step

        ibs_raw = (close - low) / candle_range
        ibs_result = process_float(self._ibs_avg, Decimal(ibs_raw), candle.OpenTime, True)
        if not ibs_result.IsFinal:
            return

        ibs_smoothed = float(ibs_result)

        ibs_w = float(self.IbsWeight)
        cci_w = float(self.CciWeight)
        rsi_w = float(self.RsiWeight)

        composite = ((ibs_smoothed - 0.5) * ibs_w + cci_val * cci_w + (rsi_val - 50.0) * rsi_w) / 3.0
        adjusted = self._apply_step_constraint(composite)

        self._signal_history.append(adjusted)
        range_period = max(1, int(self.RangePeriod))
        signal_bar = int(self.SignalBar)
        smooth_period = max(1, int(self.SmoothPeriod))
        max_hist = max(2, max(range_period, signal_bar + 2) + smooth_period)
        if len(self._signal_history) > max_hist:
            self._signal_history.pop(0)

        if len(self._signal_history) < range_period:
            return

        start_idx = max(0, len(self._signal_history) - range_period)
        highest = max(self._signal_history[start_idx:])
        lowest = min(self._signal_history[start_idx:])
        baseline = (highest + lowest) / 2.0

        self._baseline_history.append(baseline)
        if len(self._baseline_history) > max_hist:
            self._baseline_history.pop(0)

        hist_len = min(len(self._signal_history), len(self._baseline_history))
        if hist_len <= signal_bar:
            return

        prev_idx = hist_len - 1 - max(0, signal_bar)
        prev_signal = self._signal_history[prev_idx]
        prev_baseline = self._baseline_history[prev_idx]
        cur_signal = self._signal_history[hist_len - 1]
        cur_baseline = self._baseline_history[hist_len - 1]

        position = self.Position

        if position > 0 and self.EnableLongClose and prev_signal < prev_baseline:
            self.SellMarket()
            position = 0
        elif position < 0 and self.EnableShortClose and prev_signal > prev_baseline:
            self.BuyMarket()
            position = 0

        if self.EnableLongOpen and position <= 0 and prev_signal > prev_baseline and cur_signal <= cur_baseline:
            self.BuyMarket()
        elif self.EnableShortOpen and position >= 0 and prev_signal < prev_baseline and cur_signal >= cur_baseline:
            self.SellMarket()

    def _apply_step_constraint(self, target):
        if not self._has_signal:
            self._last_signal = target
            self._has_signal = True
            return self._last_signal

        threshold = abs(float(self.StepThreshold))
        if threshold <= 0.0:
            self._last_signal = target
            return self._last_signal

        diff = target - self._last_signal
        if abs(diff) > threshold:
            direction = 1.0 if diff > 0.0 else -1.0
            self._last_signal = target - direction * threshold
        else:
            self._last_signal = target

        return self._last_signal

    def OnReseted(self):
        super(ibs_rsi_cci_v4_strategy, self).OnReseted()
        self._has_signal = False
        self._last_signal = 0.0
        self._signal_history = []
        self._baseline_history = []

    def CreateClone(self):
        return ibs_rsi_cci_v4_strategy()